A Simple Counterexample to Several Problems in the Theory of Asset Pricing

DOI10.1111/1467-9965.00041zbMATH Open0910.60038OpenAlexW4213342068WikidataQ124816719 ScholiaQ124816719MaRDI QIDQ4213029FDOQ4213029

Authors: Freddy Delbaen, Walter Schachermayer 

Publication date: 6 April 1999

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00041

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zbMATH Keywords

martingalelocal martingaleequivalent martingale measuremathematical financestochastic integration

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Cited In (26)

• Relative asset price bubbles
• Mean-variance hedging via stochastic control and BSDEs for general semimartingales
• Horizon dependence of utility optimizers in incomplete models
• Strict local martingales with jumps
• On arbitrages arising with honest times
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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• The meaning of market efficiency
• Reproducing kernel Hilbert space based on special integrable semimartingales and stochastic integration
• A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE
• On the hedging of options on exploding exchange rates
• Strict local martingales and the Khasminskii test for explosions
• Shifting martingale measures and the birth of a bubble as a submartingale
• The Formation of Financial Bubbles in Defaultable Markets
• A nonuniformly integrable martingale bubble with a crash
• A mathematical theory of financial bubbles
• Conditional Davis pricing
• Stability of utility-maximization in incomplete markets
• Weak and strong no-arbitrage conditions for continuous financial markets
• Insiders and Their Free Lunches: The Role of Short Positions
• Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models
• Fragility of arbitrage and bubbles in local martingale diffusion models
• Financial Giffen goods: Examples and counterexamples
• The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
• On the super replication price of unbounded claims
• Strict local martingales via filtration enlargement

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